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Excess of Loss Reinsurance and the Probability of Ruin in Finite Horizon

Published online by Cambridge University Press:  29 August 2014

Maria de Lourdes Centeno
Maria de Lourdes Centeno*
Affiliation:
ISEG, Technical University of Lisbon, July, 1995
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Abstract

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The upper bound provided by Lundberg's inequality can be improved for the probability of ruin in finite horizon, as Gerber (1979) has shown. This paper studies this upper bound as a function of the retention limit, for an excess of loss arrangement, and compares it with the probability of ruin.

Keywords

Excess of lossreinsurancefinite time ruin probability
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 1 , May 1997 , pp. 59 - 70
Copyright
Copyright © International Actuarial Association 1997

References

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